Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0031 |
| Annualized Std Dev | 0.3223 |
| Annualized Sharpe (Rf=0%) | -0.0096 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4464.0000 |
| NAs | 1.0000 |
| Minimum | -0.2960 |
| Quartile 1 | -0.0051 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0064 |
| Maximum | 0.4063 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0004 |
| Stdev | 0.0203 |
| Skewness | 1.3953 |
| Kurtosis | 69.0725 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0143 |
| Gain Deviation | 0.0172 |
| Loss Deviation | 0.0179 |
| Downside Deviation (MAR=210%) | 0.0181 |
| Downside Deviation (Rf=0%) | 0.0142 |
| Downside Deviation (0%) | 0.0142 |
| Maximum Drawdown | 0.9081 |
| Historical VaR (95%) | -0.0239 |
| Historical ES (95%) | -0.0484 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-09 | 2009-03-09 | NA | -0.9081 | 3553 | 523 | NA |
| 2004-04-02 | 2004-05-10 | 2004-12-10 | -0.2301 | 175 | 26 | 149 |
| 2004-12-13 | 2005-03-23 | 2005-07-05 | -0.1122 | 141 | 70 | 71 |
| 2005-07-13 | 2005-11-16 | 2006-03-09 | -0.1118 | 166 | 90 | 76 |
| 2006-03-17 | 2006-04-17 | 2006-08-03 | -0.0812 | 97 | 21 | 76 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | 0 | -0.1 | 0.4 | 1 | 0.2 | 0.2 | 0.1 | 1.8 |
| 2004 | 2 | 0.4 | 0.9 | 0.4 | 0.9 | 2 | 1.7 | 0.3 | 0.8 | -0.1 | 0.6 | 0.3 | 10.6 |
| 2005 | 0.8 | 1.2 | 0.6 | 0 | 1.1 | 0.7 | -0.2 | 1.2 | 1.1 | -0.4 | 1.3 | -0.1 | 7.6 |
| 2006 | 0.1 | 0 | 0.5 | 0.4 | 0.4 | 0.4 | -0.4 | 0.3 | 0.4 | 0 | 0.5 | 0.4 | 3 |
| 2007 | 0.4 | 0.9 | 0 | 0 | 0.3 | -0.1 | -0.6 | 2.2 | 1.4 | -1.3 | 1.2 | -0.3 | 4.1 |
| 2008 | 5 | -2.4 | 5.2 | 1.9 | 0 | 1 | 1 | 1.1 | 6.1 | 4.6 | -11.1 | 8.4 | 21.1 |
| 2009 | -4.9 | -4.4 | 3.4 | -3.7 | 7.3 | 2.8 | 0.9 | -4.8 | -2.9 | -4.2 | 0.9 | -1.8 | -11.8 |
| 2010 | 1.6 | 0.8 | 1.4 | -2.2 | -1.8 | -0.6 | 0.2 | 3 | 0.8 | 1.3 | 1.5 | 0.4 | 6.6 |
| 2011 | 2 | -0.9 | 1.5 | 1 | -1.5 | 2.8 | 1.6 | -0.5 | -2.2 | -0.6 | -0.5 | 0.4 | 3.1 |
| 2012 | 1.4 | 0.4 | 1.9 | 0.4 | -1.5 | 2.9 | 1.2 | 0.2 | -0.1 | 1.5 | -0.7 | 1.7 | 9.6 |
| 2013 | 0.1 | -0.1 | -0.5 | 0.3 | -3.3 | 0.4 | -0.8 | 0.2 | 1.5 | 0.7 | -0.3 | 0.7 | -1 |
| 2014 | 0.2 | 0.5 | 0.5 | 0.3 | 0.6 | 0.1 | 0 | 0.3 | 0.2 | -0.1 | -0.2 | -0.5 | 1.9 |
| 2015 | -1 | 0.4 | 0 | 0.4 | 0.8 | 0.7 | 1.1 | -0.9 | -0.2 | -0.4 | 1.3 | 0.5 | 2.8 |
| 2016 | 1 | 1.6 | 0.1 | -0.7 | -0.1 | 0.7 | 0 | -0.4 | -0.2 | -1.5 | -1.2 | 1.4 | 0.5 |
| 2017 | -0.6 | -0.1 | 0.8 | 0.7 | 0.5 | 0.7 | 0 | 1.2 | 0.8 | 0 | 0 | 2.9 | 7 |
| 2018 | -1.8 | 0 | 0.8 | 0.5 | 0.3 | -0.2 | 0.7 | 0.2 | 0.1 | 0.4 | 1 | 2.5 | 4.6 |
| 2019 | 0.2 | 0 | -0.3 | 1 | 0.7 | 0.3 | 0.4 | 1.2 | -2 | 0.6 | 1.2 | 0.8 | 4 |
| 2020 | -0.2 | -2.5 | -8.4 | -2.7 | 3 | 1.8 | 0.3 | 0.4 | 1.8 | -0.6 | 0.5 | 0.8 | -6.1 |
| 2021 | 0.5 | 0 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
